Annex I

LIQUIDITY TEMPLATES

Template number

Template code

Name of the template/group of templates

LIQUIDITY COVERAGE TEMPLATES

PART I — LIQUID ASSETS

72

C 72.00

LIQUIDITY COVERAGE — LIQUID ASSETS

PART II — OUTFLOWS

73

C 73.00

LIQUIDITY COVERAGE — OUTFLOWS

PART III — INFLOWS

74

C 74.00

LIQUIDITY COVERAGE — INFLOWS

PART IV — COLLATERAL SWAPS

75

C 75.00

LIQUIDITY COVERAGE — COLLATERAL SWAPS

PART V — CALCULATIONS

76

C 76.00

LIQUIDITY COVERAGE — CALCULATIONS

Row

ID

Item

Amount/Market value

Standard weight

Applicable weight

Value according to Article 9

010

020

030

040

010

1

TOTAL UNADJUSTED LIQUID ASSETS

020

1.1

Total unadjusted level 1 assets

030

1.1.1

Total unadjusted LEVEL 1 assets excluding extremely high quality covered bonds

040

1.1.1.1

Coins and banknotes

1,00

050

1.1.1.2

Withdrawable central bank reserves

1,00

060

1.1.1.3

Central bank assets

1,00

070

1.1.1.4

Central government assets

1,00

080

1.1.1.5

Regional government/local authorities assets

1,00

090

1.1.1.6

Public Sector Entity assets

1,00

100

1.1.1.7

Recognisable domestic and foreign currency central government and central bank assets

1,00

110

1.1.1.8

Credit institution (protected by Member State government, promotional lender) assets

1,00

120

1.1.1.9

Multilateral development bank and international organisations assets

1,00

130

1.1.1.10

Qualifying CIU shares/units: underlying is coins/banknotes and/or central bank exposure

1,00

140

1.1.1.11

Qualifying CIU shares/units: underlying is Level 1 assets excluding extremely high quality covered bonds

0,95

150

1.1.1.12

Alternative Liquidity Approaches: Central bank credit facility

1,00

160

1.1.1.13

Central institutions: Level 1 assets excl. EHQ CB which are considered liquid assets for the depositing credit institution

170

1.1.1.14

Alternative Liquidity Approaches: Inclusion of Level 2A assets recognised as Level 1

0,80

180

1.1.2

Total unadjusted LEVEL 1 extremely high quality covered bonds

190

1.1.2.1

Extremely high quality covered bonds

0,93

200

1.1.2.2

Qualifying CIU shares/units: underlying is extremely high quality covered bonds

0,88

210

1.1.2.3

Central institutions: Level 1 EHQ covered bonds which are considered liquid assets for the depositing credit institution

220

1.2

Total unadjusted level 2 assets

230

1.2.1

Total unadjusted LEVEL 2A assets

240

1.2.1.1

Regional government/local authorities or Public Sector Entity assets (Member State, RW20 %)

0,85

250

1.2.1.2

Central bank or central/regional government or local authorities or Public Sector Entity assets (Third Country, RW20 %)

0,85

260

1.2.1.3

High quality covered bonds (CQS2)

0,85

270

1.2.1.4

High quality covered bonds (Third Country, CQS1)

0,85

280

1.2.1.5

Corporate debt securities (CQS1)

0,85

290

1.2.1.6

Qualifying CIU shares/units: underlying is Level 2A assets

0,80

300

1.2.1.7

Central institutions: Level 2A assets which are considered liquid assets for the depositing credit institution

310

1.2.2

Total unadjusted LEVEL 2B assets

320

1.2.2.1

Asset-backed securities (residential, CQS1)

0,75

330

1.2.2.2

Asset-backed securities (auto, CQS1)

0,75

340

1.2.2.3

High quality covered bonds (RW35 %)

0,70

350

1.2.2.4

Asset-backed securities (commercial or individuals, Member State, CQS1)

0,65

360

1.2.2.5

Corporate debt securities (CQS2/3)

0,50

370

1.2.2.6

Corporate debt securities — non-interest bearing assets (held by credit institutions for religious reasons) (CQS1/2/3)

0,50

380

1.2.2.7

Shares (major stock index)

0,50

390

1.2.2.8

Non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

0,50

400

1.2.2.9

Restricted-use central bank committed liquidity facilities

1,00

410

1.2.2.10

Qualifying CIU shares/units: underlying is asset-backed securities (residential or auto, CQS1)

0,70

420

1.2.2.11

Qualifying CIU shares/units: underlying is High quality covered bonds (RW35 %)

0,65

430

1.2.2.12

Qualifying CIU shares/units: underlying is asset-backed securities (commercial or individuals, Member State, CQS1)

0,60

440

1.2.2.13

Qualifying CIU shares/units: underlying is corporate debt securities (CQS2/3), shares (major stock index) or non-interest bearing assets (held by credit institutions for religious reasons) (CQS3-5)

0,45

450

1.2.2.14

Deposits by network member with central institution (no obligated investment)

0,75

460

1.2.2.15

Liquidity funding available to network member from central institution (non-specified collateralisation)

0,75

470

1.2.2.16

Central institutions: Level 2B assets which are considered liquid assets for the depositing credit institution

MEMORANDUM ITEMS

480

2

Alternative Liquidity Approaches: Additional Level 1/2A/2B assets included due to currency consistency not applying for ALA reasons

490

3

Deposits by network member with central institution (obligated investment in Level 1 excl. EHQ CB)

500

4

Deposits by network member with central institution (obligated investment in Level 1 EHQ CB assets)

510

5

Deposits by network member with central institution (obligated investment in Level 2A assets)

520

6

Deposits by network member with central institution (obligated investment in Level 2B assets)

530

7

Adjustments made to assets due to net liquidity outflows from early close-out of hedges

540

8

Adjustments made to assets due to net liquidity inflows from early close-out of hedges

550

9

Member State-sponsored guaranteed bank assets subject to grandfathering

560

10

Member State-sponsored impaired asset management agencies subject to transitional provision

570

11

Securitisations backed by residential loans subject to transitional provision

580

12

Level 1/2A/2B assets excluded due to currency reasons

590

13

Level 1/2A/2B assets excluded for operational reasons except for currency reasons

600

14

Level 1 Non-interest bearing assets (held by credit institutions for religious reasons)

610

15

Level 2A Non-interest bearing assets (held by credit institutions for religious reasons)

Amount

Market value of collateral extended

Value of collateral extended according to Article 9

Standard Weight

Applicable Weight

Outflow

Row

ID

Item

010

020

030

040

050

060

010

1

OUTFLOWS

020

1.1

Outflows from unsecured transactions/deposits

030

1.1.1

Retail deposits

040

1.1.1.1

deposits where the payout has been agreed within the following 30 days

1,00

050

1.1.1.2

deposits subject to higher outflows

060

1.1.1.2.1

category 1

0,10-0,15

070

1.1.1.2.2

category 2

0,15-0,20

080

1.1.1.3

stable deposits

0,05

090

1.1.1.4

derogated stable deposits

0,03

100

1.1.1.5

deposits in third countries where a higher outflow is applied

110

1.1.1.6

other retail deposits

0,10

120

1.1.2

Operational deposits

130

1.1.2.1

maintained for clearing, custody, cash management or other comparable services in the context of an established operational relationship

140

1.1.2.1.1

covered by DGS

0,05

150

1.1.2.1.2

not covered by DGS

0,25

160

1.1.2.2

maintained in the context of IPS or a cooperative network

170

1.1.2.2.1

not treated as liquid assets for the depositing institution

0,25

180

1.1.2.2.2

treated as liquid assets for the depositing credit institution

1,00

190

1.1.2.3

maintained in the context of an established operational relationship (other) with non-financial customers

0,25

200

1.1.2.4

maintained to obtain cash clearing and central credit institution services within a network

0,25

210

1.1.3

Non-operational deposits

220

1.1.3.1

correspondent banking and provisions of prime brokerage deposits

1,00

230

1.1.3.2

deposits by-financial customers

1,00

240

1.1.3.3

deposits by other customers

250

1.1.3.3.1

covered by DGS

0,20

260

1.1.3.3.2

not covered by DGS

0,40

270

1.1.4

Additional outflows

280

1.1.4.1

collateral other than Level 1 assets collateral posted for derivatives

0,20

290

1.1.4.2

Level 1 EHQ Covered Bonds assets collateral posted for derivatives

0,10

300

1.1.4.3

material outflows due to deterioration of own credit quality

1,00

310

1.1.4.4

impact of an adverse market scenario on derivatives, financing transactions and other contracts

320

1.1.4.4.1

hlba approach

1,00

330

1.1.4.4.2

amao approach

1,00

340

1.1.4.5

outflows from derivatives

1,00

350

1.1.4.6

short positions

360

1.1.4.6.1

covered by collateralized SFT

0,00

370

1.1.4.6.2

other

1,00

380

1.1.4.7

callable excess collateral

1,00

390

1.1.4.8

due collateral

1,00

400

1.1.4.9

liquid asset collateral exchangable for non-liquid asset collateral

1,00

410

1.1.4.10

loss of funding on structured financing activites

420

1.1.4.10.1

structured financing instruments

1,00

430

1.1.4.10.2

financing facilites

1,00

440

1.1.4.11

assets borrowed on an unsecured basis

1,00

450

1.1.4.12

internal netting of client's positions

0,50

460

1.1.5

Committed facilities

470

1.1.5.1

credit facilities

480

1.1.5.1.1

to retail customers

0,05

490

1.1.5.1.2

to non-financial customers other than retail customers

0,10

500

1.1.5.1.3

to credit institutions

510

1.1.5.1.3.1

for funding promotional loans of retail customers

0,05

520

1.1.5.1.3.2

for funding promotional loans of non-financial customers

0,10

530

1.1.5.1.3.3

other

0,40

540

1.1.5.1.4

to regulated financial institutions other than credit institutions

0,40

550

1.1.5.1.5

within a group or an IPS if subject to preferential treatment

560

1.1.5.1.6

within IPS or cooperative network if treated as liquid asset by the depositing institution

0,75

570

1.1.5.1.7

to other financial customers

1,00

580

1.1.5.2

liquidity facilities

590

1.1.5.2.1

to retail customers

0,05

600

1.1.5.2.2

to non-financial customers other than retail customers

0,30

610

1.1.5.2.3

to personal investment companies

0,40

620

1.1.5.2.4

to SSPEs

630

1.1.5.2.4.1

to purchase assets other than securities from non-financial customers

0,10

640

1.1.5.2.4.2

other

1,00

650

1.1.5.2.5

to credit institutions

660

1.1.5.2.5.1

for funding promotional loans of retail customers

0,05

670

1.1.5.2.5.2

for funding promotional loans of non-financial customers

0,30

680

1.1.5.2.5.3

other

0,40

690

1.1.5.2.6

within a group or an IPS if subject to preferential treatment

700

1.1.5.2.7

within IPS or cooperative network if treated as liquid asset by the depositing institution

0,75

710

1.1.5.2.8

to other financial customers

1,00

720

1.1.6

Other products and services

730

1.1.6.1

other off-balance sheet and contingent funding obligations

740

1.1.6.2

undrawn loans and advances to wholesale counterparties

750

1.1.6.3

mortgages that have been agreed but not yet drawn down

760

1.1.6.4

credit cards

770

1.1.6.5

overdrafts

780

1.1.6.6

planned outflows related to renewal or extension of new retail or wholesale loans

790

1.1.6.6.1

the excess of funding to non-financial customers

800

1.1.6.6.1.1

the excess of funding to retail customers

810

1.1.6.6.1.2

the excess of funding to non financial corporates

820

1.1.6.6.1.3

the excess of funding to sovereigns, MLDBs and PSEs

830

1.1.6.6.1.4

the excess of funding to other legal entities

840

1.1.6.6.2

other

850

1.1.6.7

planned derivatives payables

860

1.1.6.8

trade finance off-balance sheet related products

870

1.1.6.9

others

880

1.1.7

Other liabilities

890

1.1.7.1

liabilities resulting from-operating expenses

0,00

900

1.1.7.2

in the form of debt securities if not treated as retail deposits

1,00

910

1.1.7.3

others

1,00

920

1.2

Outflows from secured lending and capital market-driven transactions

930

1.2.1

Counterparty is central bank

940

1.2.1.1

level 1 excl. EHQ Covered Bonds collateral

0,00

950

1.2.1.2

level 1 EHQ Covered Bonds collateral

0,00

960

1.2.1.3

level 2A collateral

0,00

970

1.2.1.4

level 2B asset-backed securities (residential or automobile, CQS1) collateral

0,00

980

1.2.1.5

level 2B covered bonds

0,00

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

010

1

TOTAL INFLOWS

020

1.1

Inflows from unsecured transactions/deposits

030

1.1.1

monies due from non-financial customers (except for central banks)

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

060

1.1.1.2.1

monies due from retail customers

070

1.1.1.2.2

monies due from non-financial corporates

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

090

1.1.1.2.4

monies due from other legal entities

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

010

1

TOTAL INFLOWS

020

1.1

Inflows from unsecured transactions/deposits

030

1.1.1

monies due from non-financial customers (except for central banks)

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

1,00

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

060

1.1.1.2.1

monies due from retail customers

0,50

070

1.1.1.2.2

monies due from non-financial corporates

0,50

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

0,50

090

1.1.1.2.4

monies due from other legal entities

0,50

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

010

1

TOTAL INFLOWS

020

1.1

Inflows from unsecured transactions/deposits

030

1.1.1

monies due from non-financial customers (except for central banks)

040

1.1.1.1

monies due from non-financial customers (except for central banks) not corresponding to principal repayment

050

1.1.1.2

other monies due from non-financial customers (except for central banks)

060

1.1.1.2.1

monies due from retail customers

070

1.1.1.2.2

monies due from non-financial corporates

080

1.1.1.2.3

monies due from sovereigns, multilateral development banks and public sector entities

090

1.1.1.2.4

monies due from other legal entities

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

100

1.1.2

monies due from central banks and financial customers

110

1.1.2.1

monies due from financial customers being classified as operational deposits

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

150

1.1.2.2.1

monies due from central banks

160

1.1.2.2.2

monies due from financial customers

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

100

1.1.2

monies due from central banks and financial customers

110

1.1.2.1

monies due from financial customers being classified as operational deposits

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

0,05

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

150

1.1.2.2.1

monies due from central banks

1,00

160

1.1.2.2.2

monies due from financial customers

1,00

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

1,00

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

100

1.1.2

monies due from central banks and financial customers

110

1.1.2.1

monies due from financial customers being classified as operational deposits

120

1.1.2.1.1

monies due from financial customers being classified as operational deposits where the credit institution is able to establish a corresponding symmetrical inflow rate

130

1.1.2.1.2

monies due from financial customers being classified as operational deposits where the credit institution is not able to establish a corresponding symmetrical inflow rate

140

1.1.2.2

monies due from central banks and financial customers not being classified as operational deposits

150

1.1.2.2.1

monies due from central banks

160

1.1.2.2.2

monies due from financial customers

170

1.1.3

inflows corresponding to outflows in accordance with promotional loan commitments referred to in Article 31(9) of Commission delegated regulation (EU) 2015/61

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

180

1.1.4

monies due from trade financing transactions

190

1.1.5

monies due from securities maturing within 30 days

200

1.1.6

assets with an undefined contractual end date

210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

240

1.1.10

inflows from derivatives

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

260

1.1.12

other inflows

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

180

1.1.4

monies due from trade financing transactions

1,00

190

1.1.5

monies due from securities maturing within 30 days

1,00

200

1.1.6

assets with an undefined contractual end date

0,20

210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

1,00

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

1,00

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

1,00

240

1.1.10

inflows from derivatives

1,00

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

260

1.1.12

other inflows

1,00

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

180

1.1.4

monies due from trade financing transactions

190

1.1.5

monies due from securities maturing within 30 days

200

1.1.6

assets with an undefined contractual end date

210

1.1.7

monies due from positions in major index equity instruments provided that there is no double counting with liquid assets

220

1.1.8

inflows from undrawn credit or liquidity facilities and any other commitments provided by central banks provided that there is no double counting with liquid assets

230

1.1.9

inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets

240

1.1.10

inflows from derivatives

250

1.1.11

inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate

260

1.1.12

other inflows

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

270

1.2

Inflows from secured lending and capital market-driven transactions

280

1.2.1

collateral that qualifies as a liquid asset

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

310

1.2.1.3

Level 2A collateral

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

330

1.2.1.5

Level 2B high quality covered bonds collateral

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

360

1.2.2

collateral is used to cover a short position

370

1.2.3

collateral that does not qualify as a liquid asset

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

270

1.2

Inflows from secured lending and capital market-driven transactions

280

1.2.1

collateral that qualifies as a liquid asset

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

1,00

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

0,93

310

1.2.1.3

Level 2A collateral

0,85

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

0,75

330

1.2.1.5

Level 2B high quality covered bonds collateral

0,70

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

0,65

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

0,50

360

1.2.2

collateral is used to cover a short position

370

1.2.3

collateral that does not qualify as a liquid asset

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

270

1.2

Inflows from secured lending and capital market-driven transactions

280

1.2.1

collateral that qualifies as a liquid asset

290

1.2.1.1

Level 1 collateral excluding extremely high quality covered bonds

300

1.2.1.2

Level 1 collateral which is extremely high quality covered bonds

310

1.2.1.3

Level 2A collateral

320

1.2.1.4

Level 2B asset backed securities (residential or auto) collateral

330

1.2.1.5

Level 2B high quality covered bonds collateral

340

1.2.1.6

Level 2B asset backed securities (commercial or individuals) collateral

350

1.2.1.7

Level 2B collateral not already captured in section 1.2.1.4, 1.2.1.5 or 1.2.1.6

360

1.2.2

collateral is used to cover a short position

370

1.2.3

collateral that does not qualify as a liquid asset

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

380

1.2.3.1

margin loans: collateral is non-liquid

390

1.2.3.2

collateral is non-liquid equity

400

1.2.3.3

all other non-liquid collateral

410

1.3

Total inflows from collateral swaps

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

430

1.5

(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS

440

2

Interdependent inflows

450

3

FX inflows

460

4

Inflows within a group or an institutional protection scheme

470

4.1

Monies due from non-financial customers (except for central banks)

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

380

1.2.3.1

margin loans: collateral is non-liquid

0,50

390

1.2.3.2

collateral is non-liquid equity

1,00

400

1.2.3.3

all other non-liquid collateral

1,00

410

1.3

Total inflows from collateral swaps

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

430

1.5

(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS

440

2

Interdependent inflows

450

3

FX inflows

460

4

Inflows within a group or an institutional protection scheme

470

4.1

Monies due from non-financial customers (except for central banks)

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

380

1.2.3.1

margin loans: collateral is non-liquid

390

1.2.3.2

collateral is non-liquid equity

400

1.2.3.3

all other non-liquid collateral

410

1.3

Total inflows from collateral swaps

420

1.4

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

430

1.5

(Excess inflows from a related specialised credit institution)

MEMORANDUM ITEMS

440

2

Interdependent inflows

450

3

FX inflows

460

4

Inflows within a group or an institutional protection scheme

470

4.1

Monies due from non-financial customers (except for central banks)

Amount

Market value of collateral received

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Row

ID

Item

010

020

030

040

050

480

4.2

Monies due from financial customers

490

4.3

Secured transactions

500

4.4

Monies due from maturing securities within 30 days

510

4.5

Any other inflows within a group or an institutional protection scheme

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

Standard Weight

Applicable Weight

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

060

070

080

090

100

480

4.2

Monies due from financial customers

490

4.3

Secured transactions

500

4.4

Monies due from maturing securities within 30 days

510

4.5

Any other inflows within a group or an institutional protection scheme

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

Value of collateral received according to Article 9

Inflow

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Subject to the 75 % cap on inflows

Subject to the 90 % cap on inflows

Exempted from the cap on inflows

Row

ID

Item

110

120

130

140

150

160

480

4.2

Monies due from financial customers

490

4.3

Secured transactions

500

4.4

Monies due from maturing securities within 30 days

510

4.5

Any other inflows within a group or an institutional protection scheme

520

4.6

Inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authority has not granted permission to apply a higher inflow rate

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

010

1

TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

040

1.1.2

Level 1: extremely high quality covered bonds

050

1.1.3

Level 2A assets

060

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

070

1.1.5

Level 2B: high quality covered bonds

080

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

090

1.1.7

Other Level 2B

100

1.1.8

Non-liquid assets

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

010

1

TOTAL COLLATERAL SWAPS & COLLATERALISED DERIVATIVES

020

1.1

Totals for transactions in which Level 1 assets (excl. EHQ covered bonds) are lent and the following collateral is borrowed:

030

1.1.1

Level 1 assets (excl. EHQ covered bonds)

040

1.1.2

Level 1: extremely high quality covered bonds

050

1.1.3

Level 2A assets

060

1.1.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

070

1.1.5

Level 2B: high quality covered bonds

080

1.1.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

090

1.1.7

Other Level 2B

100

1.1.8

Non-liquid assets

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

110

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

120

1.2.1

Level 1 assets (excl. EHQ covered bonds)

130

1.2.2

Level 1: extremely high quality covered bonds

140

1.2.3

Level 2A assets

150

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

160

1.2.5

Level 2B: high quality covered bonds

170

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

180

1.2.7

Other Level 2B

190

1.2.8

Non-liquid assets

200

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

210

1.3.1

Level 1 assets (excl. EHQ covered bonds)

220

1.3.2

Level 1: extremely high quality covered bonds

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

110

1.2

Totals for transactions in which Level 1: extremely high quality covered bonds are lent and the following collateral is borrowed:

120

1.2.1

Level 1 assets (excl. EHQ covered bonds)

130

1.2.2

Level 1: extremely high quality covered bonds

140

1.2.3

Level 2A assets

150

1.2.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

160

1.2.5

Level 2B: high quality covered bonds

170

1.2.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

180

1.2.7

Other Level 2B

190

1.2.8

Non-liquid assets

200

1.3

Totals for transactions in which Level 2A assets are lent and the following collateral is borrowed:

210

1.3.1

Level 1 assets (excl. EHQ covered bonds)

220

1.3.2

Level 1: extremely high quality covered bonds

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

230

1.3.3

Level 2A assets

240

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

250

1.3.5

Level 2B: high quality covered bonds

260

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

270

1.3.7

Other Level 2B

280

1.3.8

Non-liquid assets

290

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

300

1.4.1

Level 1 assets (excl. EHQ covered bonds)

310

1.4.2

Level 1: extremely high quality covered bonds

320

1.4.3

Level 2A assets

330

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

340

1.4.5

Level 2B: high quality covered bonds

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

230

1.3.3

Level 2A assets

240

1.3.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

250

1.3.5

Level 2B: high quality covered bonds

260

1.3.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

270

1.3.7

Other Level 2B

280

1.3.8

Non-liquid assets

290

1.4

Totals for transactions in which Level 2B: asset-backed securities (residential or automobile, CQS1) are lent and the following collateral is borrowed:

300

1.4.1

Level 1 assets (excl. EHQ covered bonds)

310

1.4.2

Level 1: extremely high quality covered bonds

320

1.4.3

Level 2A assets

330

1.4.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

340

1.4.5

Level 2B: high quality covered bonds

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

350

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

360

1.4.7

Other Level 2B

370

1.4.8

Non-liquid assets

380

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

390

1.5.1

Level 1 assets (excl. EHQ covered bonds)

400

1.5.2

Level 1: extremely high quality covered bonds

410

1.5.3

Level 2A assets

420

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

430

1.5.5

Level 2B: high quality covered bonds

440

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

450

1.5.7

Other Level 2B

460

1.5.8

Non-liquid assets

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

350

1.4.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

360

1.4.7

Other Level 2B

370

1.4.8

Non-liquid assets

380

1.5

Totals for transactions in which Level 2B: high quality covered bonds are lent and the following collateral is borrowed:

390

1.5.1

Level 1 assets (excl. EHQ covered bonds)

400

1.5.2

Level 1: extremely high quality covered bonds

410

1.5.3

Level 2A assets

420

1.5.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

430

1.5.5

Level 2B: high quality covered bonds

440

1.5.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

450

1.5.7

Other Level 2B

460

1.5.8

Non-liquid assets

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

470

1.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

480

1.6.1

Level 1 assets (excl. EHQ covered bonds)

490

1.6.2

Level 1: extremely high quality covered bonds

500

1.6.3

Level 2A assets

510

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

520

1.6.5

Level 2B: high quality covered bonds

530

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

540

1.6.7

Other Level 2B

550

1.6.8

Non-liquid assets

560

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

570

1.7.1

Level 1 assets (excl. EHQ covered bonds)

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

470

1.6

Totals for transactions in which Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1) are lent and the following collateral is borrowed:

480

1.6.1

Level 1 assets (excl. EHQ covered bonds)

490

1.6.2

Level 1: extremely high quality covered bonds

500

1.6.3

Level 2A assets

510

1.6.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

520

1.6.5

Level 2B: high quality covered bonds

530

1.6.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

540

1.6.7

Other Level 2B

550

1.6.8

Non-liquid assets

560

1.7

Totals for transactions in which Other Level 2B assets are lent and the following collateral is borrowed:

570

1.7.1

Level 1 assets (excl. EHQ covered bonds)

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

580

1.7.2

Level 1: extremely high quality covered bonds

590

1.7.3

Level 2A assets

600

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

610

1.7.5

Level 2B: high quality covered bonds

620

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

630

1.7.7

Other Level 2B

640

1.7.8

Non-liquid assets

650

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

660

1.8.1

Level 1 assets (excl. EHQ covered bonds)

670

1.8.2

Level 1: extremely high quality covered bonds

680

1.8.3

Level 2A assets

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

580

1.7.2

Level 1: extremely high quality covered bonds

590

1.7.3

Level 2A assets

600

1.7.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

610

1.7.5

Level 2B: high quality covered bonds

620

1.7.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

630

1.7.7

Other Level 2B

640

1.7.8

Non-liquid assets

650

1.8

Totals for transactions in which Non-liquid assets are lent and the following collateral is borrowed:

660

1.8.1

Level 1 assets (excl. EHQ covered bonds)

670

1.8.2

Level 1: extremely high quality covered bonds

680

1.8.3

Level 2A assets

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Outflows

Inflows subject to the 75 % cap on inflows

Row

ID

Item

010

020

030

040

050

060

690

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

700

1.8.5

Level 2B: high quality covered bonds

710

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

720

1.8.7

Other Level 2B

730

1.8.8

Non-liquid assets

MEMORANDUM ITEMS

740

2

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

750

3

Total collateral swaps with intragroup counterparties

760

4

Total collateral swaps with central bank counterparties

Inflows subject to the 90 % cap on inflows

Inflows exempted from the cap on inflows

Collateralised derivatives only

Market value of collateral lent

Liquidity value of collateral lent

Market value of collateral borrowed

Liquidity value of collateral borrowed

Row

ID

Item

070

080

090

100

110

120

690

1.8.4

Level 2B: asset-backed securities (residential or automobile, CQS1)

700

1.8.5

Level 2B: high quality covered bonds

710

1.8.6

Level 2B: asset-backed securities (commercial or individuals, Member State, CQS1)

720

1.8.7

Other Level 2B

730

1.8.8

Non-liquid assets

MEMORANDUM ITEMS

740

2

Total collateral swaps (all counterparties) where borrowed collateral has been used to cover short positions

750

3

Total collateral swaps with intragroup counterparties

760

4

Total collateral swaps with central bank counterparties

Value/Percentage

Row

ID

Item

010

CALCULATIONS

Numerator, denominator, ratio

010

1

Liquidity buffer

020

2

Net liquidity outflow

030

3

Liquidity coverage ratio (%)

Numerator calculations

040

4

L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted

050

5

L1 excl. EHQCB collateral 30 day outflows

060

6

L1 excl. EHQCB collateral 30 day inflows

070

7

Secured cash 30 day ouflows

080

8

Secured cash 30 day inflows

090

9

L1 excl. EHQCB “adjusted amount before cap application”

100

10

L1 EHQCB value according to Article 9: unadjusted

110

11

L1 EHQCB collateral 30 day outflows

120

12

L1 EHQCB collateral 30 day inflows

130

13

L1 EHQCB “adjusted amount before cap application”

140

14

L1 EHQCB “adjusted amount after cap application”

150

15

L1 EHQCB “excess liquid assets amount”

160

16

L2A according to Article 9: unadjusted

170

17

L2A collateral 30 day outflows

180

18

L2A collateral 30 day inflows

190

19

L2A “adjusted amount before cap application”

200

20

L2A “adjusted amount after cap application”

210

21

L2A “excess liquid assets amount”

220

22

L2B according to Article 9: unadjusted

230

23

L2B collateral 30 day outflows

240

24

L2B collateral 30 day inflows

250

25

L2B “adjusted amount before cap application”

260

26

L2B “adjusted amount after cap application”

270

27

L2B “excess liquid assets amount”

280

28

Excess liquid asset amount

290

29

Liquidity buffer

Denominator calculations

300

30

Total Outflows

310

31

Fully Exempt Inflows

320

32

Inflows Subject to 90 % Cap

330

33

Inflows Subject to 75 % Cap

340

34

Reduction for Fully Exempt Inflows

350

35

Reduction for Inflows Subject to 90 % Cap

360

36

Reduction for Inflows Subject to 75 % Cap

370

37

Net liquidity outflow

Pillar 2

380

38

Pillar 2 requirement as set out in Article 105 CRD’